Workflow and image/video formats for rendering high quality photos as animations?
It is more common to save the output of blender rendering as a set of PNGs.  You can turn up the compression in the Render > Output section, but I can not predict if it will save space compared to the OpenEXR.

Making a VSE output to compressed video (as you do) is very common, and almost required if there is any sound involved.  The settings you use for the final video render will vary depending on


how much bandwidth you are willing to allocate for streaming
resolution of video (3.75Mbit/s MPEG-2 is CableLabs VoD standard for SD.  You will want 4-9Mbit/s for H.264 1080p video)
what formats are supported by the client software (motorola DCT-2000 -vs- iPhone)
does the container support the codecs you want (MPEG-2 program stream doesn't support AAC and blender does not seem to support transport streams)


Some more reading is at http://wiki.blender.org/index.php/Doc:2.6/Manual/Render/Output/Video